For the heat shield -- PJ Blaster and a SIX POINT socket. For the O2 sensor a 22 mm open end wrench worked easily for me. Once it was off, it was easy to get the heat sheild off.
I installed a set of headers 6 weeks ago and most everything came off quite easily, even though the car is 15 years old. It was supposedly Deion Sanders' car (delivered to Atlanta, GA in April 1993), and spent the first 8 years of its life in Georgia. It then went to Kansas for 3 years and now it lives in Colorado. AFAK they don't use road salt in GA, and I know they don't use salt in CO. All of that must have helped. I did need liberal applications of heat to get the heat shields off of the cats, but the entire exhaust system was off the car when I did that.
Don't forget the duct tape trick on the front engine mounting bolt when putting it back together again.
Good luck!